I take it to mean that at some point later in the morning, when the Musgrove sisters returned to the Cottage to resume their visit (after walking out with the sportsmen), they related this information to Mary. Later on in the same day, it does not say when exactly, Mary in turn told Anne.

As Rae points out, Anne could have been tending the children when the Musgroves came back, or out for a walk, or may not have been present for the entire visit. They would have been gushing about CW and maybe Anne didn't really want to hear it all!

Also, Anne is hearing it third or fourth hand at this point -- CW to Henrietta -- possibly Henrietta to Louisa -- one of them to Mary -- and finally Mary to Anne. I wonder what his actual words were?

''Frederick Wentworth had used such words, or something like them...''